*Note: By default this is set to null. FileNotFoundPage needs to point to a html file that lives in %systemdrive%\Program Files\Common Files\Microsoft
Shared\Web Server Extensions\12\TEMPLATE\LAYOUTS\1033. The file needs to be html only.

6. Now when you browse to a page that doesn't exist, you should expect to be brought to the redirected page.

*Another note:

In IE there's a "Show friendly HTTP error messages" setting which is ON by default in Internet Options->Advanced. With this setting on, sometimes
your custom error page is not displayed. In order to override this setting, both my404.html and /errors/my404redirect.aspx from the above steps need to be larger than 512 bytes in size. Refer to the following KB about this setting: http://support.microsoft.com/kb/218155

* This seems to be working within a site collection context only, i.e.http://MyMOSSServer/sites/siteA if
sites is a wildcard inclusion managed path and siteA doesn't exist in MOSS then this URL will NOT trigger the custom 404 error page set to SPWebApplication.FileNotFoundPage property.